This paper investigates the use of error correction models to estimate coincident GDP quarterly growth rates. We have carried out this investigation, for the euro area and the five main countries (Germany, France, Italy, Spain, and the Netherlands). We have found no cointegration relation for...

This paper proposes a panel Markov-Switching (MS-) VAR model suitable for a multi-country analysis of the business cycle. We study the business cycles fluctuations of a group of countries, analyse the transmission of shocks across cycles and predict the turning points of the country-specific...